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Influence of ADB Bond Issues and US Bonds on Asian Government Bonds

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  • Masahiro Inoguchi
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    Abstract

    This article examines whether there is a correlation between the government bond markets of Asian countries and those of the USA, and whether the efforts of international organizations to improve bond markets have had any effect in East Asia. Because the sizes of the government bond markets are larger than those of the corporate bond markets in East Asia, the present paper uses the daily data of government bonds to examine two questions: whether government bond yields in Hong Kong, Singapore and Thailand correlate with US government bond yields, and whether bonds in these Asian countries are influenced by ADB bond issues. The present study analyzes these issues by demonstrating the fluctuations in bond yields and carrying out an estimation using the exponential generalized autoregressive conditional heteroskedasticity model. The results substantiate that there is indeed a correlation between Asian and US bond markets, and that ADB bond issuance in local markets can contribute to the development of Asian bond markets. Copyright 2007 The Authors Journal compilation 2007 East Asian Economic Association and Blackwell Publishing Ltd. .

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    Bibliographic Info

    Article provided by East Asian Economic Association in its journal Asian Economic Journal.

    Volume (Year): 21 (2007)
    Issue (Month): 4 (December)
    Pages: 387-404

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    Handle: RePEc:bla:asiaec:v:21:y:2007:i:4:p:387-404

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    Cited by:
    1. Jonathan A. Batten & Warren P. Hogan & Peter G Szilagyi, 2010. "Foreign Bond Markets and Financial Market Development: International Perspectives," Working Papers id:3042, eSocialSciences.
    2. Ansgar Belke & Marcel Wiedmann, 2013. "Money, Stock Prices and Central Banks – Cross-Country Comparisons of Cointegrated VAR Models," ROME Working Papers 201308, ROME Network.

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